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Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies

De Ribera Martin, Francisco de Asis - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 37-59

Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

Persistent link: https://www.econbiz.de/10013485817

Are Banks Forward-Looking in Their Loan Loss Provisioning? Evidence from the Senior Loan Officer Opinion Survey (SLOOS)

Balasubramanyan, Lakshmi - 2014

This paper makes a fundamental contribution by studying loan-loss provisioning over the credit cycle as three distinct …-crisis period — is important as loan-loss provisioning is driven by different factors in each, in part due to extensive shifts in … (or in the application of) regulatory rule. We show evidence of forward-looking loan-loss provisioning by utilizing Senior …

Persistent link: https://www.econbiz.de/10013062927

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …

Persistent link: https://www.econbiz.de/10012321142

A Segmentation Study of Non-Performing Loans Rates in Turkish Credit Market

Vatansever, Metin - 2018

Non-performing loans (NPLs) rate is one of the main risks in commercial banks and is also a critical measure of the bank's financial performance and stability. Banks meet the growth rate of NPLs when the debtors are not able to meet their financial obligations in terms of repayment of loans....

Persistent link: https://www.econbiz.de/10012910275

Credit risk database for SME financial inclusion

Nguyen, Lan H.; Sagara, Megumi - 2020

We introduce the Credit Risk Database (CRD) and its contribution to financial inclusion efforts in Japan. By collecting financial data about small and medium-sized enterprises (SMEs), the CRD contributes to the overall understanding of the SME sector, to the adaptation of risk-based lending and...

Persistent link: https://www.econbiz.de/10012205617

More data, more credit? : information sharing and bank credit to households

Briglevics, Tamás; Karapetyan, Artashes; Ongena, Steven; … - 2024

We exploit a nation-wide introduction of mandatory disclosure of borrowers' total credit exposures and show that sharing such information increases credit access independent of borrowers' history. Differentiating between borrowers applying to competitor banks and those reapplying to their...

Persistent link: https://www.econbiz.de/10014500915

To securitise or to price credit default risk?

McGowan, Danny; Nguyen, Huyen - 2020

We evaluate lenders' incentives to mitigate credit default risk through pricing or securitisation. Exploiting exogenous variation in credit default risk created by differences in foreclosure law along US state borders, we find that lenders in the mortgage market respond to the law in...

Persistent link: https://www.econbiz.de/10012238387

To securitise or to price credit default risk?

McGowan, Danny; Nguyen, Huyen - 2020 - This draft: August 31, 2020

We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...

Persistent link: https://www.econbiz.de/10012269093

Credit Rating Changes’ Impact on Banks : Evidence from the US Banking Industry

Apergis, Nicholas - 2012

This study examines the impact of credit rating upgrades and downgrades on six comprehensive banks' asset classes, profitability, leverage and size using data from the Federal Deposit Insurance Corporation's call reports and Bloomberg over the period 1989-2008. In summary, the results suggest...

Persistent link: https://www.econbiz.de/10013115975

Asset Correlation and Credit Quality : The Basel Assumption

Zanganeh, Mohammad - 2013

The relation between asset correlation and default probability is critical for determining bank regulatory capital requirements. It is assumed negative for sovereign, corporate and banking exposures by the Basel Committee on Banking Supervision. This article provides likelihood ratio tests for...

Persistent link: https://www.econbiz.de/10013090503

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